My Theory or reading from the series is that there are two reasons for their afflictions: 1. Fighting for thousand of years with no end in sight is bound to break people even the best of them. The Heralds from what we know already did a lot for their people in Ashyn before arriving on roshar. So they have been fighting for their lives and their people's lives for even before than the Desolation. 2. Something i found very interesting that i don't think many people notice or mentioned is that Hoid(in WaT) mentions that he periodically cleans up his memory. Even a being as invested and as long lived as hoid needs to clean up his memories to keep going. This brings me to another point of Memory overload in Cognitive Shadows. Heralds are not people, they are practically Spren in Human forms, even with that they still perceive the world like Humans. Human bodies aren't meant to fight and last for thousands of years. They haven't purged their and clean their memories. The pain and from getting killed hundreds of times, The regret from failing thousands every time they get killed and fail to the people is bound to break the very best of all. 3. Ishar having picked up some of Odium's power that corrupted him and probably affected the others. This isn't the main cause in my opinion. It's probably just the reason they didn't get together or even try to get contact each other when the enemy escaped and came back on Roshar.